Search Results - subject:"Forward Rate Unbiasedness Hypothesis"

A Yield Curve Perspective on Uncovered Interest Parity

Krippner, Leo - Department of Economics, Waikato Management School - 2006

forward rate unbiasedness hypothesis yield curve term structure of interest rates ANS model Nelson and Siegel model … of its parallel specification as the forward rate unbiasedness hypothesis (FRUH). 1 Firstly, it is well established that …

Persistent link: https://www.econbiz.de/10005634982

The Long and the Short of It: Long Memory Regressors and Predictive Regressions

Smallwood, Aaron; Maynard, Alex; Wohar, Mark - Society for Computational Economics - SCE - 2005

Persistent regressors pose a common problem in predictive regressions. Tests of the forward rate unbiased hypothesis (FRUH) constitute a prime example. Standard regression tests that strongly reject FRUH have been questioned on the grounds of potential long-memory in the forward premium....

Persistent link: https://www.econbiz.de/10005343050